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陈梓麟 | 金融工程系Seminar第12期暨LD乐动体育官方欢迎您的加入双周论坛349期

[发布日期]:2022-03-25  [浏览次数]:

一、题目:Presidential Economic Approval Rating and the Cross-Section of Stock Returns

二、主讲人:陈梓麟,西南财经大学LD乐动体育官方欢迎您的加入讲师

主要研究领域为实证资产定价、行为金融和机器学习。论文发表于《Journal of Banking and Finance》,《Journal of Economic Dynamics and Control》等国际期刊。 

三、时间:2022年3月31日星期四 上午10:00-11:30 

四、地点:腾讯会议 447-414-526 

五、主持人:姜富伟教授,金融工程系主任 

六、内容简介: 

We construct a monthly presidential economic approval rating (PEAR) index from 1981 to 2019, by averaging ratings on president's handling of the economy across various national polls. In the cross-section, stocks with high betas to changes in the PEAR index significantly under-perform those with low betas by 0.95% per month in the future, on a risk adjusted basis. The low PEAR beta return premium persists up to one year, is present in various sub-samples and even in other G7 countries. PEAR beta dynamically reveals a firm's perceived alignment to the incumbent president's economic policies and investors seem to misprice such an alignment.

 



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